Read, read, read. You’ve got to know what you like, even dislike, before you can write anything. The characters you remember best from other fiction are the ones with depth to them.
Can you see the scenes you write playing in your head? Do they seem real? Do your scenes have enough “scaffolding” to support them? Does it all make sense?
All of your characters should be fully rounded. Nobody is totally evil (bar Hitler) or totally good (bar Mother Teresa). Your characters should reflect that. I enjoyed writing about the Witch being unwilling to kill Eileen given they were close as children and the Witch knows life would be boring without Eileen. Eileen is a worthy opponent and the Witch knows how rare they are. The character that can hesitate, can change their mind, can spot positive things in their enemies, show respect to them even - they’re the characters who are interesting to write about and more importantly from your viewpoint to read about too.
Ensure your characters’ names make sense for the type of character they are. For example I named the chief elf L’Evallier as I wanted to indicate class, snobbery and someone likely to have a title. Whereas Stanrock (later Stan) sounds more common, as the sprite indeed is though the ironic thing is he is as proud of that fact as L'Evallier is proud of being the snob's snob.
Can you envisage your characters “living on” without you writing about them? It’s a good sign if you can. It shows they’re rounded enough to exist. Characters that appeal to me in other authors’ work exude this quality. I like to guess at how things might work out for them. The basis of fan fiction I guess…
Does your plot bring out the best, worst or both in your characters? It should test them to the utmost and give them more than enough to be getting on with.
Reading a novel/short story by someone else is the best way to see how to develop characters. Yes, you get the odd bad novel/short story. There you learn how not to do it!
Dialogue should sound natural but without the hesitations and repetitions that occur in real speech unless you want that for effect. Limit it though. A character that hesitates and repeats themselves must have something special for them to hold our attention.
No matter how fantastic your world, there must be something in it with which we can identify. Why keep reading otherwise?